Similar Search Results

Forecasting an aggregate of cointegrated disaggregates

Clark, Todd E. - Federal Reserve Bank of Kansas City - 1995

This study examines the problem of forecasting an aggregate of cointegrated disaggregates. It first establishes … Carlo simulations and an empirical example to examine how analysis of forecasting an aggregate might be affected by a …

Persistent link: https://www.econbiz.de/10005515008

A comparison of two approaches to measuring common and idiosyncratic components in sets of time series variables

Clark, Todd E. - Federal Reserve Bank of Kansas City - 1994

Persistent link: https://www.econbiz.de/10005410706

Forecasting of small macroeconomic VARs in the presence of instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of Kansas City - 2006

Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices … VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting …

Persistent link: https://www.econbiz.de/10005515059

Improving forecast accuracy by combining recursive and rolling forecasts

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance tradeoff faced when choosing between either the recursive and rolling...

Persistent link: https://www.econbiz.de/10005490956

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from …

Persistent link: https://www.econbiz.de/10005490997

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - Federal Reserve Bank of Cleveland - 2012

The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011133739

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

Persistent link: https://www.econbiz.de/10005393632

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the …

Persistent link: https://www.econbiz.de/10005394029

Forecasting with small macroeconomic VARs in the presence of instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest rates. However …, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be … effectiveness of such methods in real time forecasting. We use forecasts from univariate time series models, the Survey of …

Persistent link: https://www.econbiz.de/10005513100

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

Persistent link: https://www.econbiz.de/10004993799